Related papers: Extra-Dimensional Approach to Option Pricing and S…
We present an elementary state augmentation method for a class of static risk measure applied to the total cost for both Markov decision processes and stochastic optimal control, such that dynamic programming equations can be derived on the…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
In this paper, we introduce an analytical perturbative solution to the Merton Garman model. It is obtained by doing perturbation theory around the exact analytical solution of a model which possesses a two-dimensional Galilean symmetry. We…
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based on expansions of the mixing representation of the put option…
Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one,…
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real world probability measure and risk neutral probability…
In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under…
In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
Excited states play a central role in determining the physical properties of quantum matter, yet their accurate computation in many-body systems remains a formidable challenge for numerical methods. While neural quantum states have…
Stochastic hybrid systems are dynamic systems that undergo both random continuous-time flows and random discrete jumps. Depending on how randomness is introduced into the continuous dynamics, discrete transitions, or both, stochastic hybrid…
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem were developed techniques for modeling…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
We study general properties such as the solution representation of a moving boundary value problem of the Black-Scholes equation, its min-max estimation, lower and upper gradient estimates, and strict monotonicity with respect to the…
Gravity is treated as a stochastic phenomenon based on fluctuations of the metric tensor of general relativity. By using a (3+1) slicing of spacetime, a Langevin equation for the dynamical conjugate momentum and a Fokker-Planck equation for…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study these structures when the driving noises admit jumps. Our…
Considering a n-dimensional general spacetime, we deduce its 4-dimensional Einstein equation and Friedman equations, and discover a general dual relation between the scale factor $a(t)$ of our universe and the scale factor $B(t)$ of extra…
Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from a formal McKean-Vlasov equation. Well-posedness of this…